Brazil Stock Market Risk Factors
Here, we build long-short portfolios based on the characteristics built previously. Portfolios are either sorted on the median, terciles or quintiles, and are either value weighted or equal weighted. Portfolios are built on single sorts of each characteristic and change on a monthly basis. For more details, have a look at our working paper.
Below, we show the performance and some descriptive statistics of the portfolios built on each of the characteristics and sorted with different methods. The risk-factors are built according to the table below, and in general are high-minus-low long-short portfolios, with a few exceptions:
| Characteristic | Long Portfolio | Short Portfolio |
|---|---|---|
| mom1m | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| mom6m | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| mom6m2 | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| mom12m | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| mom12m2 | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| mom36m | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| mom60m | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| pr_delay | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| ill | Below median, bottom tercile or bottom quintile | Above median, top tercile or top quintile |
| std_vlm | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| vlm | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| ch_mom | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| i_ret_v | Below median, bottom tercile or bottom quintile | Above median, top tercile or top quintile |
| ret_v | Below median, bottom tercile or bottom quintile | Above median, top tercile or top quintile |
| beta | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| asset_gr | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| btm | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| sz | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| op_pft | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| rme | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| earn_pr | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| gt_pft | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| levg | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| gr_sl | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| sl_pr | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| earn_rev | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| ebit_reve | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| netdebt | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| lev2 | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| ev | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| Revenue | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
| ev_eb | Above median, top tercile or top quintile | Below median, bottom tercile or bottom quintile |
1 Data download
Data is available for download below, where we report the monthly return of each risk factor:
2 Value Weighted portfolios
2.1 Monthly return
2.1.1 Median sorted
2.1.2 Tercile sorted
2.1.3 Quintile sorted
2.2 Cummulative return
2.2.1 Median sorted
2.2.2 Tercile sorted
2.2.3 Quintile sorted
2.3 Descriptive stats table
2.3.1 Median sorted
Code
portfolio_descriptive_stats[["median"]] %>%
datatable(options = list(pageLength = 10)) %>%
formatRound(columns = 2:ncol(portfolio_descriptive_stats[["median"]]), digits = 3)2.3.2 Tercile sorted
Code
portfolio_descriptive_stats[["terciles"]] %>%
datatable(options = list(pageLength = 10)) %>%
formatRound(columns = 2:ncol(portfolio_descriptive_stats[["terciles"]]), digits = 3)2.3.3 Quintile sorted
Code
portfolio_descriptive_stats[["quintiles"]] %>%
datatable(options = list(pageLength = 10)) %>%
formatRound(columns = 2:ncol(portfolio_descriptive_stats[["quintiles"]]), digits = 3)